Edit Profile (opens in new tab) Shiryaev, Al’bert Nikolaevich Co-Author Distance Author ID: shiryaev.albert-n Published as: Shiryaev, A. N.; Shiryaev, Albert N.; Shiryaev, Albert; Sirjaev, A. N.; Shiryayev, A. N.; Shiryaev, Al’bert Nikolaevich; Shiryaev, A.; Shirayaev, Albert N.; Shiryayev, Albert N.; Širjaev, A. N. more...less Further Spellings: Ширяев Альберт Николаевич Homepage: http://new.math.msu.su/department/probab/staff/shiryaev.html External Links: MGP · Wikidata · Math-Net.Ru · dblp · GND · IdRef Documents Indexed: 261 Publications since 1959, including 36 Books 44 Contributions as Editor · 2 Further Contributions Biographic References: 6 Publications Co-Authors: 193 Co-Authors with 215 Joint Publications 5,767 Co-Co-Authors all top 5 Co-Authors 84 single-authored 54 Liptser, Robert 23 Kabanov, Yuriĭ Mikhaĭlovich 15 Prokhorov, Yuriĭ Vasil’evich 11 Kolmogorov, Andreĭ Nikolaevich 10 Novikov, Aleksandr Aleksandrovich 8 Peskir, Goran 8 Shepp, Lawrence Alan 8 Zhitlukhin, Mikhail V. 7 Feinberg, Eugene Aleksandrovich 6 Melnikov, Aleksander Viktorovich 5 Cherny, Alexander S. 5 Ibragimov, Il’dar Abdullovich 5 Jacod, Jean 5 Muravlev, Alexey A. 5 Pavlov, Igor V. 4 Chibisov, Dmitriĭ Mikhaĭlovich 4 Kramkov, Dmitriĭ Olegovich 4 Skorokhod, Anatoliĭ Volodymyrovych 4 Spokoiny, Vladimir G. 4 Yor, Marc 3 Borovkov, Aleksandr Alekseevich 3 Bukhshtaber, Viktor Matveevich 3 Bulinskiĭ, Aleksandr Vadimovich 3 do Rosário Grossinho, Maria 3 Graversen, Svend Erik 3 Grigelionis, Bronius I. 3 Khimchenko, N. G. 3 Korolyuk, Volodymyr Semenovych 3 Krylov, Nicolaĭ Vladimirovich 3 Mandava, Manasa 3 Sinaĭ, Yakov Grigor’evich 3 Viskov, Oleg Viktorovich 2 Afanas’eva, Larisa Grigor’evna 2 Anulova, Svetlana 2 Barndorff-Nielsen, Ole Eiler 2 Bühlmann, Hans 2 Delbaen, Freddy 2 Dobrushin, Roland L’vovich 2 Eberlein, Ernst W. 2 Embrechts, Paul 2 Engelbert, Hans-Jürgen 2 Fukushima, Masatoshi 2 Gamkrelidze, Revaz Valerianovich 2 Gapeev, Pavel V. 2 Greenwood, Priscilla E. 2 Kholevo, Aleksandr Semënovich 2 Jeanblanc, Monique 2 Kallsen, Jan 2 Kashin, Boris Sergeevich 2 Korolev, Viktor Yur’evich 2 Kozlov, Valeriĭ Vasil’evich 2 Leonov, V. P. 2 Lyulko, Ya. A. 2 Maslov, Viktor Pavlovich 2 Medvedev, Yuriĭ Ivanovich 2 Mémin, Jean 2 Niemi, Hannu 2 Papapantoleon, Antonis 2 Pergamenshchikov, Sergeĭ Markovich 2 Pukelsheim, Friedrich 2 Rozovskii, Boris L. 2 Sachkov, Vladimir Nikolaevich 2 Sergiyenko, Ivan Vasyl’ovych 2 Sevast’yanov, Boris Aleksandrovich 2 Shervashidze, Tengiz 2 Tikhomirov, Vladimir Mikhaĭlovich 2 Treshchev, Dmitriĭ Valer’evich 2 Veretennikov, Alexander Yu. 2 Watanabe, Shinzo 2 Xu, Zuoquan 2 Yaskov, Pavel A. 2 Zhou, Xunyu 1 Afanas’ev, Valeriĭ Ivanovich 1 Aĭvazyan, Sergeĭ Artem’evich 1 Aleksandrov, Pavel Sergeevich 1 Amosov, Grigoriĭ Gennad’evich 1 Aptekarev, Alexander Ivanovich 1 Arjas, Elja 1 Arkin, Vadim I. 1 Bakhvalov, Nikolaĭ Sergeevich 1 Barra, Jean-René 1 Basdhtova, E. 1 Blagoveshchenskiĭ, Yuriĭ Nikolaevich 1 Borisov, Igor Semenovich 1 Borodin, Petr A. 1 Buckdahn, Rainer 1 Bulinskaya, Ekaterina Vadimova 1 Bulinskiĭ, Andreĭ Vadimovich 1 Burnaev, E. V. 1 Butkovskiĭ, Oleg Yaroslavovich 1 Çetin, Umut 1 Chebotarev, Alexandr M. 1 Chirka, Evgeniĭ Mikhaĭlovich 1 Chistyakov, Vladimir Pavlovich 1 Dalang, Robert C. 1 Di Tella, Paolo 1 Dorogovtsev, Andriĭ Anatoliĭovych 1 du Toit, Jacques 1 Dubins, Lester E. 1 D’yakonova, Elena Evgen’evna ...and 101 more Co-Authors all top 5 Serials 63 Theory of Probability and its Applications 21 Teoriya Veroyatnosteĭ i eë Primeneniya 16 Russian Mathematical Surveys 6 Matematicheskiĭ Sbornik. Novaya Seriya 6 Mathematics of the USSR, Sbornik 6 Proceedings of the Steklov Institute of Mathematics 6 Applications of Mathematics 5 Advanced Series on Statistical Science & Applied Probability 4 Soviet Mathematics. Doklady 4 Sequential Analysis 4 Graduate Texts in Mathematics 3 Statistics & Decisions 3 The Annals of Applied Probability 3 Problemy Peredachi Informatsii 3 Finance and Stochastics 3 Quantitative Finance 3 Stochastics 3 Trudy Matematicheskogo Instituta Imeni V. A. Steklova 3 Springer Proceedings in Mathematics & Statistics 2 Stochastics 2 Uspekhi Matematicheskikh Nauk [N. S.] 2 Kibernetika 2 Mathematics of the USSR. Izvestiya 2 Selected Translations in Mathematical Statistics and Probability 2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 2 CWI Quarterly 2 Stochastics and Stochastics Reports 2 Obozrenie Prikladnoĭ i Promyshlennoĭ Matematiki 2 Bernoulli 2 Fundamental’naya i Prikladnaya Matematika 2 Proceedings of A. Razmadze Mathematical Institute 2 Frontiers in Pure and Applied Probability 2 Grundlehren der Mathematischen Wissenschaften 2 Itogi Nauki i Tekhniki. Seriya Sovremennye Problemy Matematiki. Fundamental’nye Napravleniya 2 Mathematics and Its Applications. Soviet Series 2 Probability Theory and Stochastic Modelling 2 Springer Collected Works in Mathematics 1 Advances in Applied Probability 1 Analysis Mathematica 1 Journal of Mathematical Analysis and Applications 1 Lithuanian Mathematical Journal 1 Mathematical Notes 1 Matematicheskie Zametki 1 Moscow University Mathematics Bulletin 1 Annales Academiae Scientiarum Fennicae. Series A I. Mathematica 1 The Annals of Probability 1 The Annals of Statistics 1 Functional Analysis and its Applications 1 International Statistical Review 1 Mathematics of Operations Research 1 Statistics & Probability Letters 1 Probability Theory and Related Fields 1 Statistical Science 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 International Journal of Computer Mathematics 1 Izvestiya Akademii Nauk SSSR. Seriya Matematicheskaya 1 Litovskiĭ Matematicheskiĭ Sbornik 1 Vestnik Moskovskogo Universiteta. Seriya I. Matematika, Mekhanika 1 Cybernetics and Systems Analysis 1 Random Operators and Stochastic Equations 1 Electronic Communications in Probability 1 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka 1 ASTIN Bulletin 1 Bulletin de l’Institut International de Statistique 1 Encyclopaedia of Mathematical Sciences 1 Stochastics Monographs 1 Translations of Mathematical Monographs 1 Optimizatsiya i Issledovanie Operatsiĭ 1 Statistics & Risk Modeling 1 Problem Books in Mathematics 1 Hochschulbücher für Mathematik all top 5 Fields 215 Probability theory and stochastic processes (60-XX) 77 Statistics (62-XX) 56 History and biography (01-XX) 39 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 32 General and overarching topics; collections (00-XX) 15 Systems theory; control (93-XX) 8 Information and communication theory, circuits (94-XX) 5 Measure and integration (28-XX) 3 Partial differential equations (35-XX) 3 Operations research, mathematical programming (90-XX) 2 Mathematical logic and foundations (03-XX) 2 Integral equations (45-XX) 2 Mathematics education (97-XX) 1 Topological groups, Lie groups (22-XX) 1 Sequences, series, summability (40-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Functional analysis (46-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Computer science (68-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 208 Publications have been cited 6,797 times in 5,474 Documents Cited by ▼ Year ▼ Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002 Jacod, Jean; Shiryaev, Albert N. 1,195 2003 Limit theorems for stochastic processes. Zbl 0635.60021 Jacod, Jean; Shiryaev, Albert N. 656 1987 Optimal stopping and free-boundary problems. Zbl 1115.60001 Peskir, Goran; Shiryaev, Albert 467 2006 Statistics of random processes. I. General theory. Translated by A. B. Aries. Zbl 0364.60004 Liptser, R. S.; Shiryayev, A. N. 421 1977 Probability theory and B. V. Gnedenko. Zbl 0909.01009 Shiryaev, A. N. 246 1996 Optimal stopping rules. Translated by A. B. Aries. 3rd ed. Zbl 0391.60002 Shiryaev, A. N. 221 1978 Theory of martingales. Transl. from the Russian by K. Dzjaparidze. Zbl 0728.60048 Liptser, R. Sh.; Shiryayev, A. N. 219 1989 Limit theorems for stochastic processes. Vol. 1-2. (Predel’nye teoremy dlya sluchajnykh protsessov. Tom 1-2.) Zbl 0830.60025 Jacod, J.; Shiryaev, A. N. 182 1994 Statistics of random processes. II. Applications. Translated by A. B. Aries. Zbl 0369.60001 Liptser, R. S.; Shiryayev, A. N. 163 1978 On optimum methods in quickest detection problems. Zbl 0213.43804 Shiryaev, A. N. 161 1963 Optimization of the flow of dividends. Zbl 0878.90014 Jeanblanc-Picqué, M.; Shiryaev, A. N. 149 1995 Essentials of stochastic finance. Transl. from the Russian by N. Kruzhilin. Zbl 0926.62100 Shiryaev, A. N. 123 1999 Statistics of random processes. 1: General theory. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62072 Liptser, Robert S.; Shiryaev, Albert N. 118 2001 Probability. Textbook. (Вероятность. Учебное пособие). Zbl 0508.60001 Shiryaev, A. N. 104 1980 On a method of calculation of semi-invariants. Zbl 0087.33701 Leonov, V. P.; Shiryaev, A. N. 99 1959 The Russian option: Reduced regret. Zbl 0783.90011 Shepp, Larry; Shiryaev, A. N. 92 1993 Probability. Transl. from the Russian by R. P. Boas. 2nd ed. Zbl 0835.60002 Shiryaev, A. N. 87 1995 Statistics of random processes. 2: Applications. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62073 Liptser, Robert S.; Shiryaev, Albert N. 86 2001 The cumulant process and Esscher’s change of measure. Zbl 1035.60042 Kallsen, Jan; Shiryaev, Albert N. 86 2002 Limit theorems for associated fields and related systems. Zbl 1154.60037 Bulinski, Alexander; Shashkin, Alexey 79 2007 Statistics of random processes. Nonlinear filtration and related questions. (Statystyka procesów stochastycznych. Filtracja nieliniowa i zagadnienia pokrewne). Transl. from the Russian by Wojciech Herer. Zbl 0556.60003 Liptser, R. Sh.; Shiryaev, A. N. 69 1981 Probability. Transl. from the Russian by R. P. Boas. Zbl 0536.60001 Shiryaev, A. N. 66 1984 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036 Jacod, J.; Shiryaev, A. N. 61 1998 No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037 Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N. 54 1996 Change of time and change of measure. Zbl 1234.60003 Barndorff-Nielsen, Ole; Shiryaev, Albert 50 2010 Martingale theory. (Teoriya martingalov). Zbl 0654.60035 Liptser, R. Sh.; Shiryaev, A. N. 47 1986 Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048 Föllmer, Hans; Protter, Philip; Shiryayev, Albert N. 46 1995 Optimal stopping rules. Reprint of the 1978 3rd ed. Zbl 1138.60008 Shiryaev, Albert N. 44 2008 Probability. Textbook. 2nd ed., rev. and compl. (Вероятностъ. Учебное пособие.) Zbl 0682.60001 Shiryaev, A. N. 44 1989 On Stefan’s problem and optimal stopping rules for Markov processes. Zbl 0178.53303 Grigelionis, B. I.; Shiryaev, A. N. 42 1966 Sequential testing problems for Poisson processes. Zbl 1081.62546 Peskir, G.; Shiryaev, A. N. 42 2000 Solving the Poisson disorder problem. Zbl 1009.60033 Peskir, Goran; Shiryaev, Albert N. 41 2002 Thou shalt buy and hold. Zbl 1154.91478 Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 37 2008 Statistical sequential analysis. Optimal stopping rules. 2nd ed., rev. (Статистический последовательный анализ. Оптимальные правила остановки.) Zbl 0463.62068 Shiryaev, A. N. 36 1976 On Esscher transforms in discrete finance models. Zbl 1162.91367 Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N. 35 1998 Optimal stopping rules and maximal inequalities for Bessel processes. Zbl 0807.60040 Dubins, L. E.; Shepp, L. A.; Shiryaev, A. N. 31 1993 Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082 Graversen, S. E.; Peskir, G.; Shiryaev, A. N. 29 2000 The problem of the most rapid detection of a disturbance in a stationary process. Zbl 0109.11201 Shiryaev, A. N. 29 1961 Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time. Zbl 0882.62076 Shiryaev, A. N. 28 1996 On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 28 1977 Time change representation of stochastic integrals. Zbl 1034.60055 Kallsen, J.; Shiryaev, A. N. 27 2001 Quickest detection problems in the technical analysis of the financial data. Zbl 1001.62038 Shiryaev, Albert N. 26 2002 A new look at pricing of the “Russian option”. Zbl 0834.60072 Shepp, L. A.; Shiryaev, A. N. 25 1994 Selected works of A. N. Kolmogorov. Volume II: Probability theory and mathematical statistics. Edited by A. N. Shiryayev. Transl. from the Russian by G. Lindquist. Zbl 0743.60005 Kolmogorov, A. N. 25 1992 Contiguity and the statistical invariance principle. Zbl 0659.62029 Greenwood, P. E.; Shiryayev, A. N. 24 1985 Probability-1. Translated from the fourth Russian edition by R. P. Boas and D. M. Chibisov. 3rd edition of the book previously published as a single-volume edition. Zbl 1390.60002 Shiryaev, Albert N. 23 2016 On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales. Zbl 0482.60030 Liptser, R. Sh.; Shiryaev, A. N. 23 1982 On contiguity of probability measures corresponding to semimartingales. Zbl 0591.60039 Liptser, R. S.; Shiryaev, A. N. 23 1985 Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268 Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 22 2009 On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016 Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 21 2008 On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes. Zbl 1328.60192 Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N. 21 2014 Martingales: Recent developments, results and applications. Zbl 0478.60062 Shiryaev, A. N. 20 1981 An extension of P. Lévy’s distributional properties to the case of a Brownian motion with drift. Zbl 0965.60077 Graversen, Svend Erik; Shiryaev, Albert N. 20 2000 Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077 Gapeev, Pavel V.; Shiryaev, Albert N. 20 2013 Statistical sequential analysis. Optimal stopping rules. Translated from the Russian by Lisa and Judah Rosenblatt. Zbl 0267.62039 Shiryaev, A. N. 19 1973 A functional central limit theorem for semimartingales. Zbl 0454.60032 Liptser, R. Sh.; Shiryaev, A. N. 19 1980 A functional central limit theorem for semimartingales. Zbl 0471.60038 Liptser, R. Sh.; Shiryaev, A. N. 18 1981 Quickest detection problems: fifty years later. Zbl 1203.62137 Shiryaev, Albert N. 18 2010 On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073 Douady, R.; Shiryaev, A. N.; Yor, M. 17 1999 Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Zbl 0426.60039 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 17 1979 Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024 Feinberg, Eugene A.; Shirayaev, Albert N. 17 2006 On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035 Novikov, Alexander; Shiryaev, Albert 16 2007 On the sequential testing problem for some diffusion processes. Zbl 1228.62098 Gapeev, Pavel V.; Shiryaev, Albert N. 16 2011 Statistical experiments and decisions. Asymptotic theory. Zbl 0967.62002 Shiryaev, A. N.; Spokoiny, V. G. 16 2000 On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 14 1986 Toward the theory of pricing of options of both European and American types. II: Continuous time. Zbl 0833.60065 Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V. 14 1994 The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018 Peškir, Goran; Shiryaev, A. N. 14 1995 On an effective solution of the optimal stopping problem for random walks. Zbl 1092.60018 Novikov, A. A.; Shiryaev, A. N. 12 2004 Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 12 1980 Continuous-time Markov decision processes. Borel space models and general control strategies. With a foreword by Albert Nikolaevich Shiryaev. Zbl 1451.90003 Piunovskiy, Alexey; Zhang, Yi 12 2020 Bayesian sequential estimation of a drift of fractional Brownian motion. Zbl 1294.62175 Çetin, U.; Novikov, A.; Shiryaev, A. N. 12 2013 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101 Zhitlukhin, Mikhail V.; Shiryaev, Albert 11 2011 Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker-Prokhorov invariance principle. Zbl 1034.60076 Cherny, A. S.; Shiryaev, A. N.; Yor, M. 11 2002 Statistik von Zufallsprozessen. Nichtlineare Filtration und angrenzende Fragen. (Statistika sluchajnykh processov. Nelinejnaya fil’tratsiya i smezhnye voprosi.). Zbl 0279.60021 Liptser, R. Sh.; Shiryaev, A. N. 11 1974 Asymptotic minimaxity of a sequential estimator for a first order autoregressive model. Zbl 0753.62049 Greenwood, P. E.; Shiryaev, A. N. 11 1992 On sequential estimation of an autoregressive parameter. Zbl 0877.62077 Shiryaev, A. N.; Spokoiny, V. G. 11 1997 Probability-2. Translated from the fourth Russian edition by R. P. Boas and D. M. Chibisov. 3rd edition of the book previously published as a single-volume edition. Zbl 1472.60001 Shiryaev, Albert N. 10 2019 Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants. Zbl 0569.60038 Memin, J.; Shiryayev, A. N. 10 1985 Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 10 1978 Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062 Kabanov, Yu.; Liptser, R.; Shiryaev, A. N. 10 1978 On the one-sided tanaka equation with drift. Zbl 1243.60048 Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo 10 2011 Change of time and change of measure. 2nd edition. Zbl 1316.60004 Barndorff-Nielsen, Ole E.; Shiryaev, Albert 10 2015 Stochastic disorder problems. Zbl 1426.93002 Shiryaev, Albert N. 10 2019 On the problem of stochastic integral representations of functionals of the Brownian motion. I. Zbl 1057.60057 Shiryaev, A. N.; Yor, M. 9 2003 Predicting the last zero of Brownian motion with drift. Zbl 1145.60025 du Toit, J.; Peskir, G.; Shiryaev, A. N. 8 2008 Stochastic calculus. Zbl 0879.60047 Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N. 8 1989 On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion. Zbl 1395.62253 Burnaev, E. V.; Feinberg, E. A.; Shiryaev, A. N. 8 2009 Vector stochastic integrals and the fundamental theorems of asset pricing. Zbl 1034.60058 Shiryaev, A. N.; Chernyj, A. S. 8 2002 Some problems in the spectral theory of higher-order moments. I. Zbl 0109.36001 Shiryaev, A. N. 8 1962 Minimax weights in a trend detection problem of a random process. Zbl 0237.62060 Legostaeva, I. L.; Sirjaev, A. N. 8 1971 On the detection of disorder in a manufacturing process. I. Zbl 0279.90011 Sirjaev, A. N. 8 1963 On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075 Cherny, Alexander; Shiryaev, Albert 8 2005 Weak and strong convergence of the distributions of counting processes. Zbl 0533.60055 Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 7 1984 On conditional-extremal problems of the quickest detection of nonpredictable times of the observable Brownian motion. Zbl 1393.60041 Shiryaev, A. N. 7 2009 On the absolute continuity of measures corresponding to processes of diffusion type relative to a Wiener measure. Zbl 0267.60079 Liptser, R. Sh.; Shiryaev, A. N. 7 1973 Statistics of conditionally Gaussian random sequences. Zbl 0292.60060 Liptser, R. Sh.; Shiryayev, A. N. 7 1972 Stochastic calculus. Zbl 0714.60037 Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N. 7 1989 A new look at the “Russian option”. Zbl 0829.60055 Shepp, L. A.; Shiryaev, A. N. 7 1994 On necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures. Zbl 0509.60038 Liptser, R. Sh.; Pukelsheim, F.; Shiryaev, A. N. 6 1982 Probability theory III. Stochastic calculus. Transl. from the Russian by P. B. Slater. Zbl 0879.00017 6 1998 Sufficiency of Markov policies for continuous-time jump Markov decision processes. Zbl 1489.90208 Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N. 1 2022 Kolmogorov’s equations for jump Markov processes and their applications to control problems. Zbl 1492.60223 Feinberg, E. A.; Shiryaev, A. N. 1 2022 Kolmogorov’s equations for jump Markov processes with unbounded jump rates. Zbl 1501.60050 Feinberg, Eugene; Mandava, Manasa; Shiryaev, Albert N. 1 2022 Recent developments in stochastic methods and applications. ICSM-5. Selected contributions based on the presentations at the 5th international conference, Moscow, Russia, November 23–27, 2020. Zbl 1470.60004 1 2021 Continuous-time Markov decision processes. Borel space models and general control strategies. With a foreword by Albert Nikolaevich Shiryaev. Zbl 1451.90003 Piunovskiy, Alexey; Zhang, Yi 12 2020 Probability-2. Translated from the fourth Russian edition by R. P. Boas and D. M. Chibisov. 3rd edition of the book previously published as a single-volume edition. Zbl 1472.60001 Shiryaev, Albert N. 10 2019 Stochastic disorder problems. Zbl 1426.93002 Shiryaev, Albert N. 10 2019 Selected works III. Information theory and the theory of algorithms. Edited by A. N. Shiryayev. Annotated translation from the Russian. Reprint of the 1993 hardback edition published by Kluwer Academic Publishers. Zbl 1425.01118 Kolmogorov, Andrei N. 1 2019 Sequential testing of two hypotheses for a stationary Ornstein-Uhlenbeck process. Zbl 1411.62244 Lisovskii, D. I.; Shiryaev, A. N. 1 2019 On a transformation of the measure of a Brownian motion with drift and Girsanov’s theorem. Zbl 1429.60064 Shiryaev, Albert N. 1 2018 On the minimax optimality of the CUSUM statistic in disorder problems for Brownian motion. Zbl 1380.62234 Shiryaev, A. N. 1 2017 Probability-1. Translated from the fourth Russian edition by R. P. Boas and D. M. Chibisov. 3rd edition of the book previously published as a single-volume edition. Zbl 1390.60002 Shiryaev, Albert N. 23 2016 Selected works. Edited by Andrey A. Dorogovtsev, Alexey Kulik, Andrey Pilipenko, Mykola I. Portenko and Albert N. Shiryaev. Zbl 1433.01025 Skorokhod, Anatolii V. 3 2016 Change of time and change of measure. 2nd edition. Zbl 1316.60004 Barndorff-Nielsen, Ole E.; Shiryaev, Albert 10 2015 Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013. Zbl 1398.91720 Shiryaev, A. N.; Zhitlukhin, M. V.; Ziemba, W. T. 3 2015 A quickest detection problem with an observation cost. Zbl 1326.60052 Dalang, Robert C.; Shiryaev, Albert N. 2 2015 On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes. Zbl 1328.60192 Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N. 21 2014 Sharp maximal inequalities for stochastic processes. Zbl 1322.60074 Lyulko, Ya. A.; Shiryaev, A. N. 4 2014 Two-sided disorder problem for a Brownian motion in a Bayesian setting. Zbl 1326.60053 Muravlev, A. A.; Shiryaev, A. N. 3 2014 Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048 Zhitlukhin, M. V.; Shiryaev, A. N. 2 2014 On the existence of solutions of unbounded optimal stopping problems. Zbl 1337.60077 Zhitlukhin, M. V.; Shiryaev, A. N. 2 2014 Discussion on “Sequential estimation for time series models” by T. N. Sriram and Ross Iaci. Zbl 1291.62151 Novikov, A.; Shiryaev, A. N. 1 2014 Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077 Gapeev, Pavel V.; Shiryaev, Albert N. 20 2013 Bayesian sequential estimation of a drift of fractional Brownian motion. Zbl 1294.62175 Çetin, U.; Novikov, A.; Shiryaev, A. N. 12 2013 Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035 Zhitlukhin, M. V.; Shiryaev, A. N. 6 2013 The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion. Zbl 1284.62136 Zhitlukhin, M. V.; Muravlev, A. A.; Shiryaev, A. N. 4 2013 Prokhorov and contemporary probability theory. In honor of Yuri V. Prokhorov on the occasion of his 80th birthday. Zbl 1258.60006 1 2013 Remarks on moment inequalities and identities for martingales. Zbl 1269.60046 Novikov, Alexander; Shiryaev, Albert 1 2013 Problems in probability. Translated from Russian by Andrew Lyasoff. Zbl 1268.60004 Shiryaev, Albert N. 1 2012 On the sequential testing problem for some diffusion processes. Zbl 1228.62098 Gapeev, Pavel V.; Shiryaev, Albert N. 16 2011 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101 Zhitlukhin, Mikhail V.; Shiryaev, Albert 11 2011 On the one-sided tanaka equation with drift. Zbl 1243.60048 Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo 10 2011 Russian-Japanese symposium on “A stochastic analysis of advanced statistical models”. Zbl 1237.00020 Shiryaev, A. N.; Ulyanov, V. V. 1 2011 Change of time and change of measure. Zbl 1234.60003 Barndorff-Nielsen, Ole; Shiryaev, Albert 50 2010 Quickest detection problems: fifty years later. Zbl 1203.62137 Shiryaev, Albert N. 18 2010 Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268 Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 22 2009 On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion. Zbl 1395.62253 Burnaev, E. V.; Feinberg, E. A.; Shiryaev, A. N. 8 2009 On conditional-extremal problems of the quickest detection of nonpredictable times of the observable Brownian motion. Zbl 1393.60041 Shiryaev, A. N. 7 2009 On stochastic models and optimal methods in the quickest detection problems. Zbl 1395.62249 Shiryaev, A. N. 6 2009 On the linear and nonlinear generalized Bayesian disorder problem (discrete time case). Zbl 1200.62006 Shiryaev, Albert N.; Zryumov, Pavel Y. 2 2009 Optimal stopping rules. Reprint of the 1978 3rd ed. Zbl 1138.60008 Shiryaev, Albert N. 44 2008 Thou shalt buy and hold. Zbl 1154.91478 Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 37 2008 On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016 Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 21 2008 Predicting the last zero of Brownian motion with drift. Zbl 1145.60025 du Toit, J.; Peskir, G.; Shiryaev, A. N. 8 2008 On a stochastic version of the trading rule “buy and hold”. Zbl 1274.62538 Shiryaev, Albert; Novikov, Alexander A. 6 2008 Generalized Bayesian nonlinear quickest detection problems: on Markov family of sufficient statistics. Zbl 1146.62019 Shiryaev, Albert N. 2 2008 Response to comment on ‘Thou shalt buy and hold’. Zbl 1154.91477 Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 1 2008 Limit theorems for associated fields and related systems. Zbl 1154.60037 Bulinski, Alexander; Shashkin, Alexey 79 2007 On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035 Novikov, Alexander; Shiryaev, Albert 16 2007 On the problem of stochastic integral representations of functionals of the Brownian motion. II. Zbl 1116.60022 Graversen, S.; Shiryaev, A. N.; Yor, M. 4 2007 Martingale methods in problems on boundary intersections of Brownian motions. (О мартингальных методах в задачах о пересечении границ броуновским движением.) Zbl 1145.60004 Shiryaev, A. N. 4 2007 Selected works. Vol. 4. Mathematics and mathematicians. Book 2. On mathematicians. Edited by A. N. Shiryaev. (Избранные труды. Том 4. Математика и математики. Книга 2. О математиках.) Zbl 1294.01073 Kolmogorov, A. N. 2 2007 Selected works. Vol. 4. Mathematics and mathematicians. Book 1. On mathematics. Edited by A. N. Shiryaev. (Избранные труды. Том 4. Математика и математики. Книга 1. О математике.) Zbl 1294.01072 Kolmogorov, A. N. 1 2007 Optimal stopping and free-boundary problems. Zbl 1115.60001 Peskir, Goran; Shiryaev, Albert 467 2006 Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024 Feinberg, Eugene A.; Shirayaev, Albert N. 17 2006 From “disorder” to nonlinear filtering and martingale theory. Zbl 1082.01010 Shiryaev, A. N. 5 2006 Proof of the Poincaré-Chernoff inequality and the logarithmic Sobolev inequality by the methods of stochastic calculus for Brownian motion. Zbl 1121.60304 Shiryaev, A. N. 1 2006 On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075 Cherny, Alexander; Shiryaev, Albert 8 2005 Selected works. Vol. 3. Information theory and the theory of algorithms. Edited by A. N. Shiryaev. (Избранные труды. Том 3. Теория информации и теория алгоритмов.) Zbl 1126.01024 Kolmogorov, A. N. 2 2005 On an effective solution of the optimal stopping problem for random walks. Zbl 1092.60018 Novikov, A. A.; Shiryaev, A. N. 12 2004 A remark on the quickest detection problems. Zbl 1067.62084 Shiryaev, Albert N. 4 2004 International conference on Kolmogorov and modern mathematics, Moskva, Russia, June 16–21, 2003. Report and materials. (Mezhdunarodnaya konferentsiya Kolmogorov i sovremennaya matematika. Otchet i materialy.) Zbl 1054.00006 Shiryaev, A. N. 1 2004 Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002 Jacod, Jean; Shiryaev, Albert N. 1,195 2003 On the problem of stochastic integral representations of functionals of the Brownian motion. I. Zbl 1057.60057 Shiryaev, A. N.; Yor, M. 9 2003 Kolmogorov. Jubilee edition in three books. Book two. The braid of these running lines… Selected passages from the correspondence between A. N. Kolmogorov and P. S. Aleksandrov. Compiled, edited and with a foreword by A. N. Shiryaev. Text preparation by N. G. Khimchenko. (Колмогоров. Юбилейное издание в трех книгах. Книга вторая. Этих строк бегущих тесьма….) Zbl 1294.01075 2 2003 Kolmogorov. Jubilee edition in three books. Book three. The sounds of the heart are a faint echo. From the diaries. Compiled, edited and with a foreword by A. N. Shiryaev. Text preparation by N. G. Khimchenko. (Колмогоров. Юбилейное издание в трех книгах. Книга третья. Звуков сердца тихое эхо.) Zbl 1294.01076 1 2003 The cumulant process and Esscher’s change of measure. Zbl 1035.60042 Kallsen, Jan; Shiryaev, Albert N. 86 2002 Solving the Poisson disorder problem. Zbl 1009.60033 Peskir, Goran; Shiryaev, Albert N. 41 2002 Quickest detection problems in the technical analysis of the financial data. Zbl 1001.62038 Shiryaev, Albert N. 26 2002 Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker-Prokhorov invariance principle. Zbl 1034.60076 Cherny, A. S.; Shiryaev, A. N.; Yor, M. 11 2002 Vector stochastic integrals and the fundamental theorems of asset pricing. Zbl 1034.60058 Shiryaev, A. N.; Chernyj, A. S. 8 2002 A barrier version of the Russian option. Zbl 1011.91038 Shepp, Larry A.; Shiryaev, Albert N.; Sulem, Agnes 3 2002 Stochastic financial mathematics. Collected papers. (Stokhasticheskaya finansovaya matematika. Sbornik statej.) Zbl 1007.00021 2 2002 On lower and upper functions for square integrable martingales. Zbl 1032.60040 Shiryaev, A. N.; Valkeila, E.; Vostrikova, L. 1 2002 Statistics of random processes. 1: General theory. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62072 Liptser, Robert S.; Shiryaev, Albert N. 118 2001 Statistics of random processes. 2: Applications. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62073 Liptser, Robert S.; Shiryaev, Albert N. 86 2001 Time change representation of stochastic integrals. Zbl 1034.60055 Kallsen, J.; Shiryaev, A. N. 27 2001 On criteria for the uniform integrability of Brownian stochastic exponentials. Zbl 1054.60502 Cherny, A. S.; Shiryaev, A. N. 3 2001 A note on the call-put parity and a call-put duality. Zbl 1003.91028 Peskir, G.; Shiryaev, A. N. 2 2001 The Russian option under conditions of a possible ‘freezing’ of prices. Zbl 1004.91043 Shepp, L. A.; Shiryaev, A. N. 1 2001 Sequential testing problems for Poisson processes. Zbl 1081.62546 Peskir, G.; Shiryaev, A. N. 42 2000 Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082 Graversen, S. E.; Peskir, G.; Shiryaev, A. N. 29 2000 An extension of P. Lévy’s distributional properties to the case of a Brownian motion with drift. Zbl 0965.60077 Graversen, Svend Erik; Shiryaev, Albert N. 20 2000 Statistical experiments and decisions. Asymptotic theory. Zbl 0967.62002 Shiryaev, A. N.; Spokoiny, V. G. 16 2000 Essentials of stochastic finance. Transl. from the Russian by N. Kruzhilin. Zbl 0926.62100 Shiryaev, A. N. 123 1999 On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073 Douady, R.; Shiryaev, A. N.; Yor, M. 17 1999 Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy’s theorem. Zbl 0974.60058 Chernyj, A. S.; Shiryaev, A. N. 2 1999 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036 Jacod, J.; Shiryaev, A. N. 61 1998 On Esscher transforms in discrete finance models. Zbl 1162.91367 Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N. 35 1998 Probability theory III. Stochastic calculus. Transl. from the Russian by P. B. Slater. Zbl 0879.00017 6 1998 Sufficient conditions of the uniform integrability of exponential martingales. Zbl 0907.60048 Kramkov, D. O.; Shiryaev, A. N. 3 1998 On sequential estimation of an autoregressive parameter. Zbl 0877.62077 Shiryaev, A. N.; Spokoiny, V. G. 11 1997 On the Brownian first-passage time over a one-sided stochastic boundary. Zbl 0924.60069 Peškir, G.; Shiryaev, A. N. 1 1997 Probability theory and B. V. Gnedenko. Zbl 0909.01009 Shiryaev, A. N. 246 1996 No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037 Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N. 54 1996 Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time. Zbl 0882.62076 Shiryaev, A. N. 28 1996 A dual Russian option for selling short. Zbl 0867.90014 Shepp, L. A.; Shiryaev, A. N. 6 1996 Hiring and firing optimally in a large corporation. Zbl 0875.90265 Shepp, Larry; Shiryaev, Albert 5 1996 Criteria for the absence of arbitrage in the financial market. Zbl 0898.90021 Melnikov, A. V.; Shiryaev, A. N. 5 1996 Frontiers in pure and applied probability II. Proceedings of the fourth Russian-Finnish symposium on probability theory and mathematical statistics. Moscow (Russia), October 3-8, 1993. (Uspekhi teorii veroyatnostej i ee primenenij II. Trudy chetvertogo rossijsko-finskogo simpoziuma po teorii veroyatnostej i matematicheskoj statistike. Moskva (Rossiya), 3-8 oktyabrya 1993 g.) Zbl 0870.00038 1 1996 ...and 108 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 5,437 Authors 38 Jacod, Jean 35 Gapeev, Pavel V. 35 Pap, Gyula 31 Shiryaev, Al’bert Nikolaevich 30 Siu, Tak Kuen 28 Peskir, Goran 27 De Angelis, Tiziano 26 Ekström, Erik 25 Barczy, Mátyás 25 Todorov, Viktor 24 Podolskij, Mark 24 Rodkina, Alexandra 21 Bayraktar, Erhan 21 Kutoyants, Yury A. 21 Liptser, Robert 20 Mao, Xuerong 20 Mykland, Per Aslak 19 Criens, David 19 Jeanblanc, Monique 18 Barndorff-Nielsen, Ole Eiler 18 Eberlein, Ernst W. 18 Kallsen, Jan 18 Tartakovsky, Alexander G. 17 Elliott, Robert James 17 Kyprianou, Andreas E. 17 Palmowski, Zbigniew 17 Yan, Litan 16 Choulli, Tahir 16 Fournier, Nicolas 16 Jeon, Junkee 16 Kabanov, Yuriĭ Mikhaĭlovich 16 Karatzas, Ioannis 16 Madan, Dilip B. 16 Rosenbaum, Mathieu 16 Ruf, Johannes 16 Tappe, Stefan 16 Urusov, Mikhail A. 15 Christensen, Soren 15 Ferrari, Giorgio 15 Fontana, Claudio 15 Konev, Victor 15 Mishura, Yuliya Stepanivna 15 Pistorius, Martijn R. 15 Polunchenko, Aleksey S. 15 Puhalskii, Anatolii A. 15 Russo, Francesco 14 Buonaguidi, Bruno 14 Le Breton, Alain 14 Reiß, Markus 13 Fukasawa, Masaaki 13 Øksendal, Bernt Karsten 13 Papapantoleon, Antonis 13 Rásonyi, Miklós 13 Spreij, Peter 13 Touzi, Nizar 13 Yang, Hailiang 13 Yoshida, Nakahiro 12 Feinberg, Eugene Aleksandrovich 12 Höpfner, Reinhard 12 Kardaras, Constantinos 12 Kleptsyna, Marina L. 12 Muhle-Karbe, Johannes 12 Ouknine, Youssef 12 Possamaï, Dylan 12 Schmidt, Thorsten 12 Stettner, Łukasz 12 Tan, Xiaolu 12 Vetter, Mathias 12 Zhitlukhin, Mikhail V. 11 Ankirchner, Stefan 11 Benth, Fred Espen 11 Budhiraja, Amarjit S. 11 Campi, Marco Claudio 11 Dayanik, Savas 11 Engelbert, Hans-Jürgen 11 Irle, Albrecht 11 Ivanov, Roman V. 11 Klebaner, Fima C. 11 Kruse, Thomas 11 Makasu, Cloud 11 Mikulevicius, Remigijus 11 Novikov, Aleksandr Aleksandrovich 11 Nutz, Marcel 11 Runggaldier, Wolfgang J. 11 Sezer, Semih Onur 11 Tankov, Peter 11 Wu, Zhen 11 Zhou, Xiaowen 10 Braverman, Elena 10 Cuchiero, Christa 10 Dolinsky, Yan 10 Filipović, Damir 10 Frisén, Marianne 10 Iksanov, Aleksander M. 10 Koike, Yuta 10 Korolyuk, Volodymyr Semenovych 10 Kortchemski, Igor 10 Li, Lingfei 10 Limnios, Nikolaos 10 Löcherbach, Eva ...and 5,337 more Authors all top 5 Cited in 498 Serials 453 Stochastic Processes and their Applications 211 The Annals of Applied Probability 149 Statistics & Probability Letters 117 Finance and Stochastics 116 Sequential Analysis 101 The Annals of Probability 99 Journal of Applied Probability 94 Bernoulli 86 Insurance Mathematics & Economics 84 Stochastics 80 Probability Theory and Related Fields 76 Stochastic Analysis and Applications 73 Advances in Applied Probability 70 Journal of Econometrics 69 Journal of Mathematical Analysis and Applications 69 Journal of Theoretical Probability 68 The Annals of Statistics 68 Journal of Statistical Planning and Inference 60 SIAM Journal on Control and Optimization 60 Journal of Mathematical Sciences (New York) 58 Applied Mathematics and Optimization 56 Quantitative Finance 55 Theory of Probability and its Applications 55 Electronic Journal of Probability 53 Lithuanian Mathematical Journal 53 Mathematical Finance 50 Automatica 48 Cybernetics and Systems Analysis 47 Annales de l’Institut Henri Poincaré. 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